Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153371
Authors: 
Pedregal, Diego J.
Pérez, Javier J.
Year of Publication: 
2008
Series/Report no.: 
ECB Working Paper 937
Abstract: 
We use a newly available dataset of euro area quarterly national accounts fiscal data and construct multi-variate, state-space mixed-frequencies models for the government deficit, revenue and expenditure in order to assess its information content and its potential use for fiscal forecasting and monitoring purposes. The models are estimated with annual and quarterly national accounts fiscal data, but also incorporate monthly information taken from the cash accounts of the governments. The results show the usefulness of our approach for real-time fiscal policy surveillance in Europe, given the current policy framework in which the relevant official figures are expressed in annual terms.
Subjects: 
Fiscal policies
forecasting
Mixed frequency data
Unobserved Components
JEL: 
C53
E6
H6
Document Type: 
Working Paper

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